I've created the effect I want in AE, and I want to overlay it onto a video in Premiere. However, when i try exporting the AE file and adding it to Prem. It keep the black background I had in AE. I've tried linking comps between Prem and AE and its not working. I've tried adding the clip my effect will go on into AE and thats not working. I don't know what to do

First, make sure you have transparency in your comp by activating the transparency grid. If you do then you can render a movie with an alpha channel by choosing the "lossless with Alpha" option from the standard presets in the output module. You should open the output module and select straight alpha instead of pre-multiplied.

If you're After Effects and Premier Pro are the same version then you can import your project to premier using dynamic link. That should work just fine as long as you have verified transparency.